Research Catalog

Title

Estimating and forecasting the euro area monthly national accounts from a dynamic factor model [electronic resource] / Elena Angelini, Marta Banbura and Gerhard Rünstler

Author

Angelini, Elena.

Publication

Paris : OECD Publishing, 2010.

Details

Additional Authors

• Banbura, Marta.
• Rünstler, Gerhard.

Found In

OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2010, no. 1, p. 1-22 1995-2899

Description

22 p.

Summary

We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the model outperforms various benchmarks, such as quarterly time-series models and bridge equations, in forecasting growth in quarterly GDP and its components.

Subject

• Economics
• Euro Area

LCCN

10.1787/jbcma-2010-5kmmsxgf2qbs

OCLC

oecd-lib-000698

Author

Angelini, Elena.

Title

Estimating and forecasting the euro area monthly national accounts from a dynamic factor model [electronic resource] / Elena Angelini, Marta Banbura and Gerhard Rünstler

Imprint

Paris : OECD Publishing, 2010.

Connect to:

http://dx.doi.org/10.1787/jbcma-2010-5kmmsxgf2qbs

Indexed Term

Economics

Euro Area

Added Author

Banbura, Marta.

Rünstler, Gerhard.

Found In:

OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2010, no. 1, p. 1-22 2010:1<1 1995-2899

Other Standard Identifier

10.1787/jbcma-2010-5kmmsxgf2qbs doi